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The price evolution in financial markets under influence of published opinions 在公开意见影响下的金融市场价格演变
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 DOI: 10.1016/j.finmar.2024.100947
Xiaodi Zhang
{"title":"The price evolution in financial markets under influence of published opinions","authors":"Xiaodi Zhang","doi":"10.1016/j.finmar.2024.100947","DOIUrl":"10.1016/j.finmar.2024.100947","url":null,"abstract":"<div><div>Opinions by media experts and pundits in both traditional media outlets and online venues influence investors. While a published opinion could be more accurate than that of a typical investor, its influence displaces many independent views and has the potential to introduce a shared error. My probabilistic trading model characterizes such influence and demonstrates how the “wisdom of the crowds” effect leads convergence of prices to the fundamental value. I use two corporate events to test the model, and find evidence consistent with the theoretical predictions.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100947"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143336288","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do short-sale constraints inhibit information acquisition? Evidence from regulation SHO 卖空限制是否抑制了信息获取？来自法规SHO的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 DOI: 10.1016/j.finmar.2024.100945
Lixin (Nancy) Su , Sonia Man-Lai Wong , Yuan Xue , Xiaofeng Zhao
{"title":"Do short-sale constraints inhibit information acquisition? Evidence from regulation SHO","authors":"Lixin (Nancy) Su ,&nbsp;Sonia Man-Lai Wong ,&nbsp;Yuan Xue ,&nbsp;Xiaofeng Zhao","doi":"10.1016/j.finmar.2024.100945","DOIUrl":"10.1016/j.finmar.2024.100945","url":null,"abstract":"<div><div>We investigate how short-sale constraints influence investor information acquisition. Leveraging the U.S. Securities and Exchange Commission's (SEC's) Regulation SHO pilot program, we find that relaxed short-sale constraints lead to increased public information acquisition by investors. Investors acquire and process valuable information and utilize it to improve their short-selling decisions after the relaxation of short-sale constraints. We obtain similar findings using a quasi-natural experiment in China that lifted short-sale bans, supporting the external validity of our results. Collectively, our evidence demonstrates that reduced trading frictions promote information acquisition and contribute to price discovery.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100945"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143331801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An ETF-based measure of stock price fragility 基于交易所交易基金的股价脆弱性衡量指标
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 DOI: 10.1016/j.finmar.2024.100946
Hamilton Galindo Gil , Renato Lazo-Paz
{"title":"An ETF-based measure of stock price fragility","authors":"Hamilton Galindo Gil ,&nbsp;Renato Lazo-Paz","doi":"10.1016/j.finmar.2024.100946","DOIUrl":"10.1016/j.finmar.2024.100946","url":null,"abstract":"<div><div>Equity mutual fund flows are commonly employed to measure stock price fragility - a stock’s exposure to non-fundamental demand risk. However, this approach may be biased by confounding fundamental information, potentially underestimating risk exposure. We propose an alternative method that uses the primary market data of exchange-traded funds (ETFs). This approach overcomes many limitations of mutual fund data, incorporates the influence of a broader set of investor demand, and strongly predicts stock return volatility and return comovement. Our study highlights the significant role that the arbitrage trading activity of ETFs play in signaling non-fundamental demand shocks.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100946"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143336289","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Can stock trading suspension calm down investors during market crises? 股票停牌能否在市场危机中安抚投资者？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100934
Weihua Chen , Jennifer Huang , Donghui Shi , Zhongzhi Song
{"title":"Can stock trading suspension calm down investors during market crises?","authors":"Weihua Chen ,&nbsp;Jennifer Huang ,&nbsp;Donghui Shi ,&nbsp;Zhongzhi Song","doi":"10.1016/j.finmar.2024.100934","DOIUrl":"10.1016/j.finmar.2024.100934","url":null,"abstract":"<div><div>We examine the trading behavior of investors facing a large number of firm-initiated stock trading suspension events during the Chinese stock market crisis in July 2015. Using account-level trading data from the Shanghai Stock Exchange, we find that investors with a higher fraction of holding value in suspension sell less (or purchase more) of non-suspended stocks. Consequently, non-suspended stocks whose shareholders have a high average account-level suspension fraction experience a short-term relative price appreciation. This evidence indicates that trading suspension can calm down investors and therefore help to stabilize the volatile market during crises.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100934"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705217","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymmetry and the Cross-section of Option Returns 不对称与期权收益截面*
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100932
Jianqiu Wang , Ke Wu , Sijie Yang , Dexin Zhou
{"title":"Asymmetry and the Cross-section of Option Returns","authors":"Jianqiu Wang ,&nbsp;Ke Wu ,&nbsp;Sijie Yang ,&nbsp;Dexin Zhou","doi":"10.1016/j.finmar.2024.100932","DOIUrl":"10.1016/j.finmar.2024.100932","url":null,"abstract":"<div><div>We propose a novel measure of upside asymmetry based on probability density function that utilizes information from the distribution of option returns. Our analysis of U.S. option data reveals a positive cross-sectional relationship between the upside asymmetry (RML) and subsequent option returns. This relationship cannot be explained by stock or option characteristics studied in previous literature and do not reverse in the following months. Additionally, the relationship is stronger among firms with higher costs of arbitrage. RML robustly predicts future realized and implied volatilities after controlling for historical volatility and lagged implied volatility.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100932"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
December doldrums, investor distraction, and the stock market reaction to unscheduled news events 十二月低迷、投资者分心以及股市对计划外新闻事件的反应
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100928
Sudheer Chava , Nikhil Paradkar
{"title":"December doldrums, investor distraction, and the stock market reaction to unscheduled news events","authors":"Sudheer Chava ,&nbsp;Nikhil Paradkar","doi":"10.1016/j.finmar.2024.100928","DOIUrl":"10.1016/j.finmar.2024.100928","url":null,"abstract":"<div><div>We examine how investor distraction during the December holiday season impacts the stock market’s reaction to salient firm-specific news. We find that both retail and institutional investor attention is significantly lower in December. Importantly, only unscheduled credit rating downgrades and 8-K filings experience lower investor attention in December; we find no equivalent effect for pre-scheduled earnings announcements. Consistently, we document significantly weaker market responses in December toward unscheduled firm news only. Firm prominence mitigates this December distraction effect. Our results highlight how investor distraction in December can lead to a muted market reaction to unscheduled, but salient, firm-specific news.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100928"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short selling and the pricing of PIN information risk 卖空与 PIN 信息风险定价
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100931
Chen Chen , Qiqi Liang , Chris Stivers , Licheng Sun
{"title":"Short selling and the pricing of PIN information risk","authors":"Chen Chen ,&nbsp;Qiqi Liang ,&nbsp;Chris Stivers ,&nbsp;Licheng Sun","doi":"10.1016/j.finmar.2024.100931","DOIUrl":"10.1016/j.finmar.2024.100931","url":null,"abstract":"<div><div>We present evidence that the pricing of the probability of informed trading (PIN) information risk varies substantially with stocks’ short selling environment. For lightly shorted stocks, their risk-adjusted returns (alphas) increase reliably with both the good news (PIN_G) and bad news (PIN_B) components of their PIN. The positive PIN-alpha relations decline and then disappear as stocks’ shorting activity increases. Our findings are consistently evident with shorting-interest, shorting-flow, and the probability of informed shorting, and are more prominent for smaller-cap stocks. Our findings support theories where asymmetric information with imperfectly competitive markets can impact stocks’ cost of equity.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100931"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Arbitrage opportunities and efficiency tests in crypto derivatives 加密货币衍生品中的套利机会和效率测试
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100930
Carol Alexander , Xi Chen , Jun Deng , Tianyi Wang
{"title":"Arbitrage opportunities and efficiency tests in crypto derivatives","authors":"Carol Alexander ,&nbsp;Xi Chen ,&nbsp;Jun Deng ,&nbsp;Tianyi Wang","doi":"10.1016/j.finmar.2024.100930","DOIUrl":"10.1016/j.finmar.2024.100930","url":null,"abstract":"<div><div>We test the joint efficiency of the bitcoin and ether options and perpetual futures markets and identify the determinants of arbitrage opportunities. Our novel fiat-currency-free put–call parity relationship motivates new arbitrage tests for options-only and option–perpetual cross-markets. Bitcoin and ether derivatives markets are becoming more efficient, especially for options of maturity <span><math><mo>≥</mo></math></span> 15 days. Bitcoin derivative markets are generally more efficient than ether derivative markets, but arbitrage strategies can still be highly profitable even under conservative transaction cost scenarios, which include slippage for large orders, especially during periods of high trading volumes or when the blockchain traffic becomes more congested.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100930"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142177298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial congestion 财务拥挤
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100933
Deniz Okat
{"title":"Financial congestion","authors":"Deniz Okat","doi":"10.1016/j.finmar.2024.100933","DOIUrl":"10.1016/j.finmar.2024.100933","url":null,"abstract":"<div><div>Individuals have an increased incentive to invest when they know that they can sell their investments whenever they need funds. However, this increase in investments can also lead to a reduction in aggregate returns, as it exacerbates the negative externalities that individuals impose on each other whenever they invest. As a result, setting up a financial market that allows individuals to trade their assets may reduce welfare as it can amplify these negative externalities and lead to suboptimal investment decisions.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100933"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930797","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading Robinhood、Reddit 和新闻：传统媒体和社交媒体对散户投资者交易的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100929
Markus Münster , Felix Reichenbach , Martin Walther
{"title":"Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading","authors":"Markus Münster ,&nbsp;Felix Reichenbach ,&nbsp;Martin Walther","doi":"10.1016/j.finmar.2024.100929","DOIUrl":"10.1016/j.finmar.2024.100929","url":null,"abstract":"<div><div>We study the impact of social media posts and news articles on retail trading on Robinhood by analyzing the net buying activity before and after a (social) media publication. Our findings indicate that both publication types lead to an increase of holders. However, both effects are short-lived, and the effect of social media posts on retail trading is significantly higher. Furthermore, investors buy stocks that are recommended on Reddit regardless of text sentiment. However, they act as contrarians by selling stocks with positive news coverage and vice versa. We thus find evidence for both attention- and information-driven trading behavior.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100929"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141706653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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